Value-at-risk analysis for energy commodities: long-range dependencies and fat-tails in return innovations

2008 ◽  
Vol 1 (1) ◽  
pp. 31-63 ◽  
Author(s):  
Chaker Aloui
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Long Range ◽  
Value At Risk ◽  
Fat Tails

scholarly journals PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

2022 ◽  
Vol 10 (4) ◽  
pp. 508-517
Author(s):  
Umiyatun Muthohiroh ◽  
Rita Rahmawati ◽  
Dwi Ispriyanti
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Confidence Level ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Optimal Portfolios

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).  

Estimating and Predicting Value-at-Risk in the presence of structural breaks: A Study based on unbiased extreme value volatility estimator

2020 ◽  
Vol 14 (1) ◽  
pp. 27-48
Author(s):  
Dilip Kumar
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Structural Breaks ◽  
Extreme Value ◽  
Total Loss ◽  
Fat Tails ◽  
Alternative Models ◽  
Forecasting Performance ◽  
The Impact ◽  
The Given

We provide a framework based on the unbiased extreme value volatility estimator to predict long and short position value-at-risk (VaR). The given framework incorporates the impact of asymmetry, structural breaks and fat tails in volatility. We generate forecasts of both long and short position VaR and evaluate the VaR forecasting performance of the proposed framework using various backtesting approaches for both long and short positions and compare the results with that of various alternative models. Our findings indicate that the proposed framework outperforms the alternative models in predicting the long and the short position VaR. Our findings also indicate that the VaR forecasts based on the proposed framework provides the least total loss score for various long and short positions VaR and this supports the superior properties of the proposed framework in forecasting VaR more accurately. The study contributes by providing a framework to predict more accurate VaR measure based on the unbiased extreme value volatility estimator.

scholarly journals Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

2004 ◽  
Vol 344 (3-4) ◽  
pp. 554-561 ◽  
Author(s):  
Adriana P. Mattedi ◽  
Fernando M. Ramos ◽  
Reinaldo R. Rosa ◽  
Rosario N. Mantegna
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Value At Risk ◽  
Tsallis Statistics ◽  
Aerospace Sector

scholarly journals Analisis Tipologi Saham Syariah Di Bursa Efek Indonesia Berdasarkan Nilai Return Dan Resiko (Value At Risk) Pasca Krisis Global 2008

2012 ◽  
Vol 1 (1) ◽  
pp. 17
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
At Risk ◽  
High Risk ◽  
Risk Analysis ◽  
Capital Market ◽  
Value At Risk ◽  
Low Risk ◽  
Global Crisis ◽  
Analysis Tools ◽  
High Return

Since the signed memorandum of understanding between BAPEPAM with Dewan Syariah Nasional-Majelis Ulama Indonesia (DSN-MUI) on the principle of Islamic capital market in 2003, the Islamic capital market in Indonesia has developed significantly. In each investment, including Islamic capital market investment, there are 2 (two) fundamental things that always accompany it, the return and risks. This paper discusses the analysis of return and risk of sharia stocks that always go in Jakarta Islamic Index (JII) after the global crisis in 2008, risk analysis tools using Value at risk (VaR) approach to model the Generalized Autoregressive Conditional  Heteroscedastic (GARCH), then proceed with the analysis of the typology to determine the characteristics of these stocks. The results that shares sharia can be grouped into 4 (four) :  6 (six) shares entering the low return and low risk (TLKM, UNVR, SMGR, AALI, ELSA, and SGRO), 3 (three ) shares into group of low-return but high risk (INCO, ANTM, and TINS), 3 (three) shares enter the group of low risk but high return (PTBA, LSIP, and KLBF), and 4 (four) shares enter the group high return but high risk (ITMG, ASII, INTP, and BMTR).

scholarly journals PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

2021 ◽  
Vol 10 (3) ◽  
pp. 445-454
Author(s):  
Umiyatun Muthohiroh ◽  
Rita Rahmawati ◽  
Dwi Ispriyanti
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Confidence Level ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Optimal Portfolios

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).  

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